Asymptotic Dominance and Confidence for Solutions of Stochastic Programs

Pflug GC (1991). Asymptotic Dominance and Confidence for Solutions of Stochastic Programs. IIASA Working Paper. IIASA, Laxenburg, Austria: WP-91-048

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Abstract

For closed-set valued random processes we introduce a stochastic order relation (dominance) and show that the argmins of a sequence of random processes, which are epi-convergent in distribution satisfy this order relation in an asymptotic sense. The result may be used for the construction of confidence regions for the argmin.

Item Type: Monograph (IIASA Working Paper)
Research Programs: Adaption and Optimization (ADO)
Depositing User: IIASA Import
Date Deposited: 15 Jan 2016 02:01
Last Modified: 27 Jul 2016 18:33
URI: http://pure.iiasa.ac.at/3517

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